Illiquid Assets and Optimal Portfolio Choice
---- Acknowledgements ----
The present paper has been started while the author was member of the faculty of Economics, Verona University and visiting scholar at the Anderson School of Management, Faculty of Finance. We thank J. Cvitanic for his helpful comments on an earlier version of the paper. C.T. gratefully acknowledges the Anderson School, the Finance Faculty and in particular Prof. Schwartz for the kind invitation and warm hospitality. C.T. would also like to thank Marina Di Giacinto for constant support and many valuable comments, Martino Grasselli, the participants to the seminar at University of Torino, to the workshop at Bocconi University, R. Gibson, F.Gozzi, F. Zapatero and the participants to the WFA 2007 meeting for several insights and helpful discussions. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.